[Federal Register Volume 82, Number 235 (Friday, December 8, 2017)]
[Notices]
[Pages 58034-58035]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-26449]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82211; File No. SR-ICC-2017-014]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change to the ICC 
Stress Testing Framework and the ICC Liquidity Risk Management 
Framework

December 4, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on November 27, 2017, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change described in Items I, II, and III below, which Items have been 
primarily prepared by ICC. ICC filed the proposed rule change pursuant 
to Section 19(b)(3)(A) of the Act,\3\ and Rule 19b-4(f)(3) 
thereunder,\4\ so that the proposal was effective upon filing with the 
Commission. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(3).
---------------------------------------------------------------------------

I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed changes is to make clarifying 
revisions to the ICC Stress Testing Framework and the ICC Liquidity 
Stress Testing Framework.

[[Page 58035]]

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. ICC has prepared summaries, set forth in sections (A), 
(B), and (C) below, of the most significant aspects of these 
statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    ICC proposes revisions to its Stress Testing Framework and 
Liquidity Risk Management Framework. Specifically, ICC proposes 
clarifying changes to document current aspects of its stress testing 
and liquidity stress testing practices. The proposed changes are 
described in detail as follows.
    ICC proposes changes to its Stress Testing Framework to provide 
further clarity regarding its calculation of the Foreign Exchange 
(``FX'') shock percentages utilized in ICC's stress testing practices. 
Specifically, ICC proposes adding language noting that ICC calculates a 
FX shock percentage for each considered risk horizon.
    ICC proposes changes to its Liquidity Risk Management Framework to 
provide further clarify regarding the applicability of FX adverse 
stress scenarios to its predefined liquidity stress tests. 
Specifically, ICC proposes adding language noting that adverse stress 
scenarios are applied to the Historically Observed Extreme but 
Plausible scenarios and Hypothetically Constructed Extreme but 
Plausible scenarios. ICC also added a description of its FX shock 
percentage calculation to the ICC Liquidity Risk Management Framework.
    Section 17(A)(b)(3)(F) of the Act \5\ requires, among other things, 
that the rules of a clearing agency be designed to protect investors 
and the public interest and to comply with the provisions of the Act 
and the rules and regulations thereunder. ICC believes that the 
proposed rule change is consistent with the requirements of the Act and 
the rules and regulations thereunder applicable to ICC, in particular, 
Section 17(A)(b)(3)(F),\6\ because ICC believes that the proposed rule 
change will protect investors and the public interest, as the proposed 
revision provides additional clarity regarding ICC's stress testing and 
liquidity stress testing practices. As such, the proposed rule change 
is designed to protect investors and the public interest within the 
meaning of Section 17(A)(b)(3)(F) \7\ of the Act. Further, through 
these revisions, ICC is complying with a directive from the CFTC by 
including requested clarifying details in its Stress Testing Framework 
and Liquidity Risk Management Framework.
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ Id.
    \7\ Id.
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. ICC is adding clarifying 
details regarding its current stress testing and liquidity stress 
testing practices and not making any substantive changes to its overall 
stress testing and liquidity stress testing practices. Therefore, ICC 
does not believe the changes impose any burden on competition that is 
inappropriate in furtherance of the purposes of the Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change

    Written comments relating to the proposed rule change have not been 
solicited or received. ICC will notify the Commission of any written 
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) \8\ of the Act and paragraph (f)(3) of Rule 19b-4 
thereunder.\9\ At any time within 60 days of the filing of the proposed 
rule change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(3).
---------------------------------------------------------------------------

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-ICC-2017-014 on the subject line.

Paper Comments

    Send paper comments in triplicate to Secretary, Securities and 
Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICC-2017-014. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for Web site viewing and 
printing in the Commission's Public Reference Room, 100 F Street NE., 
Washington, DC 20549, on official business days between the hours of 
10:00 a.m. and 3:00 p.m. Copies of such filings will also be available 
for inspection and copying at the principal office of ICE Clear Credit 
and on ICE Clear Credit's Web site at https://www.theice.com/clear-credit/regulation.
    All comments received will be posted without change. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-ICC-2017-014 and should be 
submitted on or before December 29, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-26449 Filed 12-7-17; 8:45 am]
 BILLING CODE 8011-01-P


